Abstract:
This paper focused on the analyzing the relationship between the main stock market indices and oil price. The current study uses the panel data tools to es-timate the character and intensity of the examined relationship. The panel data of 13 main stock market indices from January, 1999 to January, 2015 was examined. Due to the nonstationarity and cross section dependence across units the Westerlund Er-ror-correction based panel cointegration test was used in order to analyze the long term dynamics between the considerable variables. The cointegration relationship between the logarithms of the market indices and oil price was proven for all indi-ces. The second part of the current paper examines the role of the weight of the energy companies’ market capitalization on the speed, at which the system corrects back to the equilibrium after a sudden shock. The straight evidence of this influence was not shown.
